An improved approach to evaluate default probabilities and default correlations with consistency
Weiping Li (Southwest Jiaotong University, Chengdu Sichuan Province, P. R. China, and Department of Finance, Oklahoma State University, Stillwater, Oklahoma, USA), Tim Krehbiel (Department of Finance, Oklahoma State University, Stillwater, OK, USA)
| Year of publication: |
August 2016
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|---|---|
| Authors: | Li, Weiping ; Krehbiel, Timothy L. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-29
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| Subject: | Default correlation | probability of default | consistency | credit analysis | risk management | Kolmogorov forward equation | first-passage-time model | Kreditrisiko | Credit risk | Korrelation | Correlation | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection | Kreditwürdigkeit | Credit rating |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500369 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011525108